U.S. and Asia Pacific Equity Markets Causality Test

U.S. and Asia Pacific Equity Markets Causality Test

This paper focuses on the causality relation between US and the several Asia-pacific markets (Japan, China, Hong Kong, Taiwan, Singapore, Korea, and Indonesia). We check the causality of the co-movement among the markets across Pacific by using Granger-Causality test, VAR, and event studying on unexpected high volatile period. Our tests show that U.S. and Japan have strong influence to other As...

Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–2010

☆ The authors are grateful to Li Qingyang, James Z with data collection, and to Jun Yu and an anonymou the Centre for International Governance Innovation lisches Wilhelms Universität Münster, the June 2011 and Financial Econometrics, the 2011 Western Econo nance Association Conference in Macau — where thi ⁎ Corresponding author at: Wilfrid Laurier Univers E-mail address: [email protected] (P.L. Si...

Derivatives in Asia-Pacific Markets

The Interaction of Asia-Pacific Futures Markets

This paper examines the intertemporal pricing behavior between the largest futures markets within the Pacific region with those in the UK and US. Both mean return and volatility transmissions between these markets are analyzed to understand the channels by which the international pricing mechanism functions. Results obtained from using a mixture of intraday and overnight returns show a preponde...

The spillover effects of US and Japanese public information news in advanced Asia-Pacific stock markets

This paper investigates the nature of information leadership of the US and Japan in the advanced Asia-Pacific stock markets. Instead of just relying on return and return volatility spillovers from major markets, specific and disaggregated news events are also utilized. In particular, the aim is to examine the nature of spillover effects of scheduled announcements of the US and Japanese macroeco...